DYNAMIC HIERARCHICAL FACTOR MODELS

被引：82

作者：

Moench, Emanuel ^{[1
]}

Ng, Serena ^{[2
]}

Potter, Simon ^{[1
]}

机构：

[1] Fed Reserve Bank New York, New York, NY 10045 USA

[2] Columbia Univ, New York, NY 10027 USA

来源：

REVIEW OF ECONOMICS AND STATISTICS | 2013年 / 95卷 / 05期

关键词：

D O I：

10.1162/REST_a_00359

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper uses multilevel factor models to characterize within- and between-block variations as well as idiosyncratic noise in large dynamic panels. Block-level shocks are distinguished from genuinely common shocks, and the estimated block-level factors are easy to interpret. The framework achieves dimension reduction and yet explicitly allows for heterogeneity between blocks. The model is estimated using an MCMC algorithm that takes into account the hierarchical structure of the factors. The importance of block-level variations is illustrated in a four-level model estimated on a panel of 445 series related to different categories of real activity in the United States.

引用

页码：1811 / 1817

页数：7

共 19 条

[1] Bayesian dynamic factor models and portfolio allocation [J].